Crypto Rolling Efficiency

Time series Plots

Window : 360

  • Delta H computed over rolling 360 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360

    • q70: 0.1276
    • q90: 0.17481
    • q95: 0.197805
    • q99: 0.241003

V

### UNH ### MSFT ### GOOG ### GOOGL ### CVX ### LLY ### NVDA ### JNJ ### TSLA ### PG ### META ### HD ### AVGO ### JPM ### MA ### XOM ### AMZN ### AAPL

Window : 720

  • Delta H computed over rolling 720 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720

    • q70: 0.0987
    • q90: 0.1326
    • q95: 0.1478
    • q99: 0.176903

UNH

### AVGO ### LLY ### AMZN ### AAPL ### JNJ ### NVDA ### V ### META ### PG ### GOOG ### HD ### CVX ### XOM ### JPM ### MA ### TSLA ### MSFT ### GOOGL

Window : 1080

  • Delta H computed over rolling 1080 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080

    • q70: 0.0881
    • q90: 0.11901
    • q95: 0.1314
    • q99: 0.154401

CVX

### V ### AVGO ### MSFT ### GOOG ### AAPL ### JNJ ### HD ### META ### JPM ### MA ### AMZN ### NVDA ### XOM ### GOOGL ### UNH ### TSLA ### LLY ### PG

Summary Tables

Window : 360

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
AAPL 755 562 468 263 1022 0.7387476 0.5499022 0.4579256 0.2573386
AMZN 781 620 517 280 1022 0.7641879 0.6066536 0.5058708 0.2739726
AVGO 665 485 354 203 1022 0.6506849 0.4745597 0.3463796 0.1986301
CVX 710 553 479 359 1022 0.6947162 0.5410959 0.4686888 0.3512720
GOOG 737 464 287 125 1022 0.7211350 0.4540117 0.2808219 0.1223092
GOOGL 744 417 284 128 1022 0.7279843 0.4080235 0.2778865 0.1252446
HD 855 719 654 489 1022 0.8365949 0.7035225 0.6399217 0.4784736
JNJ 948 816 706 383 1022 0.9275930 0.7984344 0.6908023 0.3747554
JPM 995 981 963 833 1022 0.9735812 0.9598826 0.9422701 0.8150685
LLY 985 898 833 712 1022 0.9637965 0.8786693 0.8150685 0.6966732
MA 939 813 758 626 1022 0.9187867 0.7954990 0.7416830 0.6125245
META 570 455 400 314 1022 0.5577299 0.4452055 0.3913894 0.3072407
MSFT 749 667 580 382 1022 0.7328767 0.6526419 0.5675147 0.3737769
NVDA 752 492 409 246 1022 0.7358121 0.4814090 0.4001957 0.2407045
PG 896 698 610 508 1022 0.8767123 0.6829746 0.5968689 0.4970646
TSLA 722 559 435 241 1022 0.7064579 0.5469667 0.4256360 0.2358121
UNH 806 715 643 544 1022 0.7886497 0.6996086 0.6291585 0.5322896
V 899 822 799 735 1022 0.8796477 0.8043053 0.7818004 0.7191781
XOM 882 672 494 227 1022 0.8630137 0.6575342 0.4833659 0.2221135

Window : 720

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
AAPL 626 548 513 405 662 0.9456193 0.8277946 0.7749245 0.6117825
AMZN 481 473 468 464 662 0.7265861 0.7145015 0.7069486 0.7009063
AVGO 631 570 539 435 662 0.9531722 0.8610272 0.8141994 0.6570997
CVX 640 618 603 552 662 0.9667674 0.9335347 0.9108761 0.8338369
GOOG 490 267 185 137 662 0.7401813 0.4033233 0.2794562 0.2069486
GOOGL 479 249 179 132 662 0.7235650 0.3761329 0.2703927 0.1993958
HD 662 638 633 584 662 1.0000000 0.9637462 0.9561934 0.8821752
JNJ 662 627 577 569 662 1.0000000 0.9471299 0.8716012 0.8595166
JPM 634 615 594 488 662 0.9577039 0.9290030 0.8972810 0.7371601
LLY 662 628 582 477 662 1.0000000 0.9486405 0.8791541 0.7205438
MA 662 640 632 591 662 1.0000000 0.9667674 0.9546828 0.8927492
META 521 351 312 239 662 0.7870091 0.5302115 0.4712991 0.3610272
MSFT 662 662 662 644 662 1.0000000 1.0000000 1.0000000 0.9728097
NVDA 553 493 456 396 662 0.8353474 0.7447130 0.6888218 0.5981873
PG 637 602 590 581 662 0.9622356 0.9093656 0.8912387 0.8776435
TSLA 662 661 648 628 662 1.0000000 0.9984894 0.9788520 0.9486405
UNH 662 662 660 632 662 1.0000000 1.0000000 0.9969789 0.9546828
V 662 662 662 640 662 1.0000000 1.0000000 1.0000000 0.9667674
XOM 437 341 282 203 662 0.6601208 0.5151057 0.4259819 0.3066465

Window : 1080

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
AAPL 302 302 293 206 302 1.0000000 1.0000000 0.9701987 0.6821192
AMZN 302 302 290 265 302 1.0000000 1.0000000 0.9602649 0.8774834
AVGO 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
CVX 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
GOOG 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
GOOGL 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
HD 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
JNJ 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
JPM 301 259 236 186 302 0.9966887 0.8576159 0.7814570 0.6158940
LLY 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
MA 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
META 302 302 302 301 302 1.0000000 1.0000000 1.0000000 0.9966887
MSFT 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
NVDA 302 293 275 247 302 1.0000000 0.9701987 0.9105960 0.8178808
PG 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
TSLA 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
UNH 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
V 302 302 302 302 302 1.0000000 1.0000000 1.0000000 1.0000000
XOM 267 253 243 182 302 0.8841060 0.8377483 0.8046358 0.6026490

Backtesting

Return KPIs for various strategies applied to different cryptocurrencies:

  • Short-Inefficiency-Long-Efficiency: go short when the series becomes statistically inefficient (above a certain quantile - e.g. q90) and go long when it is below that level.

Short-Inefficiency: stay short only when the series becomes statistically inefficient and do nothing when it is below that level.

  • Short-Efficiency: stay short only when the series becomes statistically efficient and do nothing when it becomes inefficient.

  • Short-Efficiency-Long-Inefficiency: stay long only when the series becomes statistically efficient and do nothing when it becomes inefficient.

Note: Positions are taken one day after the efficiency level crosses the significance quantile.

360-day Window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0875 0.3838 0.2279 0.4050939 CVX Short-Inefficiency-Long-Efficiency q70 360
    0.0594 0.3286 0.1808 0.2636992 GOOGL Short-Inefficiency-Long-Efficiency q70 360
    -0.0289 0.3674 -0.0785 -0.1119900 XOM Short-Inefficiency-Long-Efficiency q70 360
    -0.0342 0.3648 -0.0937 -0.1315891 AMZN Short-Inefficiency-Long-Efficiency q70 360
    -0.0403 0.3015 -0.1338 -0.1537611 V Short-Inefficiency-Long-Efficiency q70 360
    -0.0486 0.2062 -0.2357 -0.1829212 JNJ Short-Inefficiency-Long-Efficiency q70 360
    -0.0767 0.3284 -0.2336 -0.2765479 GOOG Short-Inefficiency-Long-Efficiency q70 360
    -0.0857 0.3090 -0.2775 -0.3047634 HD Short-Inefficiency-Long-Efficiency q70 360
    -0.0967 0.3093 -0.3126 -0.3379347 UNH Short-Inefficiency-Long-Efficiency q70 360
    -0.1014 0.3388 -0.2994 -0.3518734 MA Short-Inefficiency-Long-Efficiency q70 360
    -0.1339 0.3220 -0.4159 -0.4418891 MSFT Short-Inefficiency-Long-Efficiency q70 360
    -0.1412 0.3372 -0.4189 -0.4607375 AAPL Short-Inefficiency-Long-Efficiency q70 360
    -0.1418 0.2229 -0.6363 -0.4622111 PG Short-Inefficiency-Long-Efficiency q70 360
    -0.1503 0.3437 -0.4374 -0.4834669 JPM Short-Inefficiency-Long-Efficiency q70 360
    -0.1877 0.3810 -0.4927 -0.5696733 AVGO Short-Inefficiency-Long-Efficiency q70 360
    -0.2455 0.5371 -0.4570 -0.6809454 NVDA Short-Inefficiency-Long-Efficiency q70 360
    -0.3215 0.3134 -1.0260 -0.7926390 LLY Short-Inefficiency-Long-Efficiency q70 360
    -0.3574 0.4681 -0.7635 -0.8336447 META Short-Inefficiency-Long-Efficiency q70 360
    -0.3891 0.6792 -0.5729 -0.8644819 TSLA Short-Inefficiency-Long-Efficiency q70 360
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      -0.0356 0.3526 -0.1010 -0.1367139 CVX Short-Inefficiency q70 360
      -0.0667 0.2036 -0.3276 -0.2442383 JNJ Short-Inefficiency q70 360
      -0.0768 0.3249 -0.2365 -0.2769025 AMZN Short-Inefficiency q70 360
      -0.0783 0.2858 -0.2741 -0.2816319 V Short-Inefficiency q70 360
      -0.0822 0.2927 -0.2810 -0.2939550 GOOGL Short-Inefficiency q70 360
      -0.1020 0.3346 -0.3050 -0.3536962 XOM Short-Inefficiency q70 360
      -0.1187 0.3234 -0.3671 -0.4010380 MA Short-Inefficiency q70 360
      -0.1204 0.2866 -0.4200 -0.4055402 HD Short-Inefficiency q70 360
      -0.1292 0.2143 -0.6029 -0.4294519 PG Short-Inefficiency q70 360
      -0.1422 0.2840 -0.5006 -0.4631457 GOOG Short-Inefficiency q70 360
      -0.1451 0.2860 -0.5072 -0.4704253 UNH Short-Inefficiency q70 360
      -0.1469 0.3411 -0.4306 -0.4749530 JPM Short-Inefficiency q70 360
      -0.1865 0.2831 -0.6587 -0.5669605 MSFT Short-Inefficiency q70 360
      -0.2327 0.2926 -0.7953 -0.6584979 AAPL Short-Inefficiency q70 360
      -0.2422 0.3188 -0.7599 -0.6753031 AVGO Short-Inefficiency q70 360
      -0.2461 0.3403 -0.7231 -0.6819536 META Short-Inefficiency q70 360
      -0.3262 0.3104 -1.0507 -0.7983465 LLY Short-Inefficiency q70 360
      -0.3735 0.4458 -0.8379 -0.8499343 NVDA Short-Inefficiency q70 360
      -0.4883 0.5932 -0.8231 -0.9339205 TSLA Short-Inefficiency q70 360
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.3353 0.3134 1.0698 2.2302244 LLY Short-Efficiency-Long-Inefficiency q70 360
        0.2464 0.4681 0.5263 1.4430997 META Short-Efficiency-Long-Inefficiency q70 360
        0.1087 0.2229 0.4876 0.5195959 PG Short-Efficiency-Long-Inefficiency q70 360
        0.0642 0.3810 0.1684 0.2868321 AVGO Short-Efficiency-Long-Inefficiency q70 360
        0.0455 0.3437 0.1323 0.1975645 JPM Short-Efficiency-Long-Inefficiency q70 360
        0.0408 0.3220 0.1266 0.1758972 MSFT Short-Efficiency-Long-Inefficiency q70 360
        0.0392 0.3372 0.1163 0.1688760 AAPL Short-Efficiency-Long-Inefficiency q70 360
        0.0294 0.6792 0.0433 0.1246285 TSLA Short-Efficiency-Long-Inefficiency q70 360
        0.0073 0.2062 0.0356 0.0300905 JNJ Short-Efficiency-Long-Inefficiency q70 360
        0.0058 0.3093 0.0188 0.0237761 UNH Short-Efficiency-Long-Inefficiency q70 360
        -0.0062 0.3090 -0.0200 -0.0248233 HD Short-Efficiency-Long-Inefficiency q70 360
        -0.0077 0.5371 -0.0144 -0.0309593 NVDA Short-Efficiency-Long-Inefficiency q70 360
        -0.0080 0.3388 -0.0235 -0.0319154 MA Short-Efficiency-Long-Inefficiency q70 360
        -0.0277 0.3284 -0.0844 -0.1077221 GOOG Short-Efficiency-Long-Inefficiency q70 360
        -0.0486 0.3015 -0.1612 -0.1829904 V Short-Efficiency-Long-Inefficiency q70 360
        -0.0938 0.3648 -0.2570 -0.3292102 AMZN Short-Efficiency-Long-Inefficiency q70 360
        -0.1004 0.3674 -0.2734 -0.3490465 XOM Short-Efficiency-Long-Inefficiency q70 360
        -0.1528 0.3286 -0.4649 -0.4895553 GOOGL Short-Efficiency-Long-Inefficiency q70 360
        -0.2073 0.3838 -0.5400 -0.6101114 CVX Short-Efficiency-Long-Inefficiency q70 360
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0569 0.3218 0.1767 0.2513877 META Short-Efficiency q70 360
          0.0109 0.0613 0.1777 0.0448979 PG Short-Efficiency q70 360
          0.0023 0.0418 0.0548 0.0093130 JPM Short-Efficiency q70 360
          -0.0087 0.0426 -0.2034 -0.0346386 LLY Short-Efficiency q70 360
          -0.0201 0.0320 -0.6272 -0.0788745 JNJ Short-Efficiency q70 360
          -0.0292 0.1008 -0.2896 -0.1132069 MA Short-Efficiency q70 360
          -0.0484 0.0960 -0.5042 -0.1822705 V Short-Efficiency q70 360
          -0.0506 0.1154 -0.4386 -0.1899826 HD Short-Efficiency q70 360
          -0.0665 0.1173 -0.5670 -0.2435828 UNH Short-Efficiency q70 360
          -0.0701 0.1659 -0.4226 -0.2553293 AMZN Short-Efficiency q70 360
          -0.0824 0.1532 -0.5383 -0.2945769 MSFT Short-Efficiency q70 360
          -0.0958 0.1647 -0.5818 -0.3353277 GOOG Short-Efficiency q70 360
          -0.0965 0.1518 -0.6355 -0.3372627 XOM Short-Efficiency q70 360
          -0.1067 0.2083 -0.5125 -0.3672843 AVGO Short-Efficiency q70 360
          -0.1311 0.1668 -0.7860 -0.4344537 AAPL Short-Efficiency q70 360
          -0.1334 0.1517 -0.8793 -0.4405007 CVX Short-Efficiency q70 360
          -0.1529 0.1493 -1.0242 -0.4897593 GOOGL Short-Efficiency q70 360
          -0.2409 0.2985 -0.8072 -0.6730564 NVDA Short-Efficiency q70 360
          -0.2488 0.3295 -0.7550 -0.6865691 TSLA Short-Efficiency q70 360

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.1803 0.3672 0.4911 0.9588183 XOM Short-Inefficiency-Long-Efficiency q90 360
    0.0695 0.3089 0.2249 0.3130477 HD Short-Inefficiency-Long-Efficiency q90 360
    0.0436 0.3284 0.1329 0.1891763 GOOG Short-Inefficiency-Long-Efficiency q90 360
    0.0353 0.3839 0.0920 0.1511348 CVX Short-Inefficiency-Long-Efficiency q90 360
    -0.0128 0.3287 -0.0391 -0.0510798 GOOGL Short-Inefficiency-Long-Efficiency q90 360
    -0.0352 0.3811 -0.0924 -0.1352579 AVGO Short-Inefficiency-Long-Efficiency q90 360
    -0.0431 0.5372 -0.0802 -0.1635555 NVDA Short-Inefficiency-Long-Efficiency q90 360
    -0.0764 0.3221 -0.2372 -0.2755203 MSFT Short-Inefficiency-Long-Efficiency q90 360
    -0.0777 0.2061 -0.3771 -0.2797647 JNJ Short-Inefficiency-Long-Efficiency q90 360
    -0.0818 0.3015 -0.2712 -0.2924283 V Short-Inefficiency-Long-Efficiency q90 360
    -0.0820 0.3388 -0.2421 -0.2932118 MA Short-Inefficiency-Long-Efficiency q90 360
    -0.1056 0.3372 -0.3132 -0.3640752 AAPL Short-Inefficiency-Long-Efficiency q90 360
    -0.1261 0.3437 -0.3670 -0.4211944 JPM Short-Inefficiency-Long-Efficiency q90 360
    -0.1287 0.6794 -0.1894 -0.4279760 TSLA Short-Inefficiency-Long-Efficiency q90 360
    -0.1326 0.3092 -0.4289 -0.4384115 UNH Short-Inefficiency-Long-Efficiency q90 360
    -0.1463 0.3648 -0.4010 -0.4734393 AMZN Short-Inefficiency-Long-Efficiency q90 360
    -0.1562 0.2229 -0.7011 -0.4979347 PG Short-Inefficiency-Long-Efficiency q90 360
    -0.2464 0.3138 -0.7854 -0.6825682 LLY Short-Inefficiency-Long-Efficiency q90 360
    -0.4135 0.4679 -0.8838 -0.8851150 META Short-Inefficiency-Long-Efficiency q90 360
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0018 0.2971 0.0059 0.0071223 XOM Short-Inefficiency q90 360
      -0.0454 0.2746 -0.1654 -0.1718331 HD Short-Inefficiency q90 360
      -0.0524 0.3322 -0.1578 -0.1961708 CVX Short-Inefficiency q90 360
      -0.0715 0.2121 -0.3373 -0.2599306 GOOG Short-Inefficiency q90 360
      -0.0793 0.1939 -0.4092 -0.2848387 JNJ Short-Inefficiency q90 360
      -0.0936 0.2002 -0.4678 -0.3288612 GOOGL Short-Inefficiency q90 360
      -0.0970 0.2802 -0.3463 -0.3389007 V Short-Inefficiency q90 360
      -0.1051 0.3088 -0.3405 -0.3626658 MA Short-Inefficiency q90 360
      -0.1201 0.2797 -0.4294 -0.4048054 AMZN Short-Inefficiency q90 360
      -0.1303 0.1773 -0.7349 -0.4322530 PG Short-Inefficiency q90 360
      -0.1347 0.3408 -0.3953 -0.4439173 JPM Short-Inefficiency q90 360
      -0.1575 0.2728 -0.5771 -0.5008444 MSFT Short-Inefficiency q90 360
      -0.1602 0.2771 -0.5779 -0.5072862 UNH Short-Inefficiency q90 360
      -0.1663 0.2880 -0.5776 -0.5218166 AVGO Short-Inefficiency q90 360
      -0.2071 0.2463 -0.8409 -0.6098592 AAPL Short-Inefficiency q90 360
      -0.2638 0.3380 -0.7804 -0.7112136 NVDA Short-Inefficiency q90 360
      -0.2653 0.2781 -0.9542 -0.7136293 META Short-Inefficiency q90 360
      -0.2869 0.2967 -0.9667 -0.7461889 LLY Short-Inefficiency q90 360
      -0.3690 0.5374 -0.6866 -0.8454555 TSLA Short-Inefficiency q90 360
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.3655 0.4679 0.7813 2.5376463 META Short-Efficiency-Long-Inefficiency q90 360
        0.2022 0.3138 0.6443 1.1101301 LLY Short-Efficiency-Long-Inefficiency q90 360
        0.1276 0.2229 0.5727 0.6277202 PG Short-Efficiency-Long-Inefficiency q90 360
        0.0475 0.3092 0.1535 0.2069453 UNH Short-Efficiency-Long-Inefficiency q90 360
        0.0392 0.2061 0.1900 0.1685974 JNJ Short-Efficiency-Long-Inefficiency q90 360
        0.0252 0.3648 0.0691 0.1062755 AMZN Short-Efficiency-Long-Inefficiency q90 360
        0.0165 0.3437 0.0481 0.0687209 JPM Short-Efficiency-Long-Inefficiency q90 360
        -0.0022 0.3372 -0.0065 -0.0087964 AAPL Short-Efficiency-Long-Inefficiency q90 360
        -0.0057 0.3015 -0.0189 -0.0228759 V Short-Efficiency-Long-Inefficiency q90 360
        -0.0241 0.3221 -0.0748 -0.0941346 MSFT Short-Efficiency-Long-Inefficiency q90 360
        -0.0289 0.3388 -0.0854 -0.1122638 MA Short-Efficiency-Long-Inefficiency q90 360
        -0.0908 0.3287 -0.2762 -0.3202288 GOOGL Short-Efficiency-Long-Inefficiency q90 360
        -0.1041 0.3811 -0.2731 -0.3596262 AVGO Short-Efficiency-Long-Inefficiency q90 360
        -0.1398 0.3284 -0.4259 -0.4571702 GOOG Short-Efficiency-Long-Inefficiency q90 360
        -0.1504 0.3089 -0.4869 -0.4836604 HD Short-Efficiency-Long-Inefficiency q90 360
        -0.1673 0.3839 -0.4358 -0.5240956 CVX Short-Efficiency-Long-Inefficiency q90 360
        -0.2176 0.5372 -0.4051 -0.6303678 NVDA Short-Efficiency-Long-Inefficiency q90 360
        -0.2599 0.3672 -0.7078 -0.7048970 XOM Short-Efficiency-Long-Inefficiency q90 360
        -0.2783 0.6794 -0.4096 -0.7335645 TSLA Short-Efficiency-Long-Inefficiency q90 360
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0845 0.3767 0.2245 0.3898047 META Short-Efficiency q90 360
          0.0121 0.1352 0.0896 0.0500532 PG Short-Efficiency q90 360
          -0.0066 0.0700 -0.0946 -0.0265812 JNJ Short-Efficiency q90 360
          -0.0118 0.0447 -0.2639 -0.0470180 JPM Short-Efficiency q90 360
          -0.0244 0.2343 -0.1041 -0.0953051 AMZN Short-Efficiency q90 360
          -0.0287 0.1113 -0.2580 -0.1114334 V Short-Efficiency q90 360
          -0.0439 0.1394 -0.3153 -0.1665983 MA Short-Efficiency q90 360
          -0.0498 0.1370 -0.3631 -0.1869938 UNH Short-Efficiency q90 360
          -0.0633 0.1012 -0.6255 -0.2330181 LLY Short-Efficiency q90 360
          -0.1140 0.1708 -0.6676 -0.3880144 MSFT Short-Efficiency q90 360
          -0.1180 0.1924 -0.6135 -0.3991162 CVX Short-Efficiency q90 360
          -0.1252 0.1414 -0.8850 -0.4185679 HD Short-Efficiency q90 360
          -0.1422 0.2606 -0.5458 -0.4632215 GOOGL Short-Efficiency q90 360
          -0.1592 0.2298 -0.6927 -0.5049602 AAPL Short-Efficiency q90 360
          -0.1646 0.2506 -0.6570 -0.5178396 GOOG Short-Efficiency q90 360
          -0.1880 0.2492 -0.7546 -0.5703723 AVGO Short-Efficiency q90 360
          -0.1901 0.2159 -0.8803 -0.5746995 XOM Short-Efficiency q90 360
          -0.3541 0.4166 -0.8498 -0.8301062 NVDA Short-Efficiency q90 360
          -0.3908 0.4144 -0.9430 -0.8659846 TSLA Short-Efficiency q90 360

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.3609 0.3277 1.1016 2.4897818 GOOG Short-Inefficiency-Long-Efficiency q95 360
    0.3459 0.3280 1.0545 2.3355183 GOOGL Short-Inefficiency-Long-Efficiency q95 360
    0.1582 0.3370 0.4696 0.8143885 AAPL Short-Inefficiency-Long-Efficiency q95 360
    0.1552 0.5369 0.2891 0.7952793 NVDA Short-Inefficiency-Long-Efficiency q95 360
    0.1019 0.3386 0.3010 0.4823448 MA Short-Inefficiency-Long-Efficiency q95 360
    0.0923 0.3838 0.2405 0.4305388 CVX Short-Inefficiency-Long-Efficiency q95 360
    0.0311 0.3090 0.1007 0.1322796 HD Short-Inefficiency-Long-Efficiency q95 360
    0.0173 0.3674 0.0470 0.0719115 XOM Short-Inefficiency-Long-Efficiency q95 360
    0.0001 0.3811 0.0003 0.0004266 AVGO Short-Inefficiency-Long-Efficiency q95 360
    -0.0176 0.3221 -0.0548 -0.0696518 MSFT Short-Inefficiency-Long-Efficiency q95 360
    -0.0287 0.2062 -0.1391 -0.1113419 JNJ Short-Inefficiency-Long-Efficiency q95 360
    -0.0630 0.3015 -0.2089 -0.2318512 V Short-Inefficiency-Long-Efficiency q95 360
    -0.1022 0.6794 -0.1505 -0.3542663 TSLA Short-Inefficiency-Long-Efficiency q95 360
    -0.1319 0.2229 -0.5915 -0.4364484 PG Short-Inefficiency-Long-Efficiency q95 360
    -0.1585 0.3437 -0.4613 -0.5034263 JPM Short-Inefficiency-Long-Efficiency q95 360
    -0.1710 0.3648 -0.4688 -0.5326212 AMZN Short-Inefficiency-Long-Efficiency q95 360
    -0.1822 0.3091 -0.5895 -0.5577322 UNH Short-Inefficiency-Long-Efficiency q95 360
    -0.2876 0.3136 -0.9171 -0.7472102 LLY Short-Inefficiency-Long-Efficiency q95 360
    -0.4546 0.4676 -0.9723 -0.9144710 META Short-Inefficiency-Long-Efficiency q95 360
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0702 0.1624 0.4318 0.3164867 GOOG Short-Inefficiency q95 360
      0.0637 0.1726 0.3692 0.2847611 GOOGL Short-Inefficiency q95 360
      -0.0148 0.2928 -0.0506 -0.0587130 MA Short-Inefficiency q95 360
      -0.0249 0.3265 -0.0762 -0.0971215 CVX Short-Inefficiency q95 360
      -0.0541 0.1880 -0.2878 -0.2020029 JNJ Short-Inefficiency q95 360
      -0.0603 0.2650 -0.2274 -0.2228274 HD Short-Inefficiency q95 360
      -0.0607 0.2614 -0.2322 -0.2242503 XOM Short-Inefficiency q95 360
      -0.0872 0.2778 -0.3139 -0.3093587 V Short-Inefficiency q95 360
      -0.0886 0.2020 -0.4388 -0.3135980 AAPL Short-Inefficiency q95 360
      -0.1166 0.1694 -0.6882 -0.3951539 PG Short-Inefficiency q95 360
      -0.1282 0.2596 -0.4940 -0.4268049 AMZN Short-Inefficiency q95 360
      -0.1287 0.2628 -0.4898 -0.4281339 MSFT Short-Inefficiency q95 360
      -0.1435 0.2549 -0.5631 -0.4665589 AVGO Short-Inefficiency q95 360
      -0.1506 0.3398 -0.4433 -0.4842306 JPM Short-Inefficiency q95 360
      -0.1811 0.2995 -0.6045 -0.5551733 NVDA Short-Inefficiency q95 360
      -0.1828 0.2691 -0.6791 -0.5588960 UNH Short-Inefficiency q95 360
      -0.2841 0.2374 -1.1969 -0.7421671 META Short-Inefficiency q95 360
      -0.3053 0.2903 -1.0517 -0.7717911 LLY Short-Inefficiency q95 360
      -0.3454 0.4954 -0.6971 -0.8206096 TSLA Short-Inefficiency q95 360
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.4686 0.4676 1.0021 3.7518676 META Short-Efficiency-Long-Inefficiency q95 360
        0.2716 0.3136 0.8661 1.6497210 LLY Short-Efficiency-Long-Inefficiency q95 360
        0.1110 0.3091 0.3591 0.5325706 UNH Short-Efficiency-Long-Inefficiency q95 360
        0.0960 0.2229 0.4305 0.4501277 PG Short-Efficiency-Long-Inefficiency q95 360
        0.0558 0.3648 0.1530 0.2463579 AMZN Short-Efficiency-Long-Inefficiency q95 360
        0.0557 0.3437 0.1620 0.2456997 JPM Short-Efficiency-Long-Inefficiency q95 360
        -0.0133 0.2062 -0.0645 -0.0528809 JNJ Short-Efficiency-Long-Inefficiency q95 360
        -0.0256 0.3015 -0.0850 -0.0999331 V Short-Efficiency-Long-Inefficiency q95 360
        -0.0824 0.3221 -0.2560 -0.2945856 MSFT Short-Efficiency-Long-Inefficiency q95 360
        -0.1188 0.3090 -0.3845 -0.4012270 HD Short-Efficiency-Long-Inefficiency q95 360
        -0.1357 0.3811 -0.3561 -0.4464779 AVGO Short-Efficiency-Long-Inefficiency q95 360
        -0.1412 0.3674 -0.3844 -0.4607267 XOM Short-Efficiency-Long-Inefficiency q95 360
        -0.1910 0.3386 -0.5641 -0.5767237 MA Short-Efficiency-Long-Inefficiency q95 360
        -0.2108 0.3838 -0.5491 -0.6170463 CVX Short-Efficiency-Long-Inefficiency q95 360
        -0.2295 0.3370 -0.6810 -0.6525932 AAPL Short-Efficiency-Long-Inefficiency q95 360
        -0.2995 0.6794 -0.4409 -0.7639778 TSLA Short-Efficiency-Long-Inefficiency q95 360
        -0.3331 0.3280 -1.0157 -0.8066122 GOOGL Short-Efficiency-Long-Inefficiency q95 360
        -0.3404 0.3277 -1.0389 -0.8150256 GOOG Short-Efficiency-Long-Inefficiency q95 360
        -0.3519 0.5369 -0.6555 -0.8277834 NVDA Short-Efficiency-Long-Inefficiency q95 360
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1130 0.4034 0.2801 0.5436327 META Short-Efficiency q95 360
          0.0067 0.0517 0.1297 0.0274684 JPM Short-Efficiency q95 360
          -0.0036 0.1449 -0.0246 -0.0143533 PG Short-Efficiency q95 360
          -0.0153 0.2563 -0.0597 -0.0605826 AMZN Short-Efficiency q95 360
          -0.0235 0.1520 -0.1544 -0.0918709 UNH Short-Efficiency q95 360
          -0.0331 0.0845 -0.3919 -0.1276267 JNJ Short-Efficiency q95 360
          -0.0384 0.1182 -0.3252 -0.1469724 LLY Short-Efficiency q95 360
          -0.0391 0.1170 -0.3345 -0.1494415 V Short-Efficiency q95 360
          -0.1113 0.1587 -0.7014 -0.3804172 HD Short-Efficiency q95 360
          -0.1316 0.1702 -0.7730 -0.4357136 MA Short-Efficiency q95 360
          -0.1362 0.2582 -0.5277 -0.4478508 XOM Short-Efficiency q95 360
          -0.1429 0.2018 -0.7085 -0.4650354 CVX Short-Efficiency q95 360
          -0.1433 0.1859 -0.7707 -0.4658259 MSFT Short-Efficiency q95 360
          -0.2097 0.2829 -0.7410 -0.6148762 AVGO Short-Efficiency q95 360
          -0.2685 0.2694 -0.9965 -0.7186266 AAPL Short-Efficiency q95 360
          -0.2691 0.2792 -0.9641 -0.7195955 GOOGL Short-Efficiency q95 360
          -0.2752 0.2849 -0.9662 -0.7289511 GOOG Short-Efficiency q95 360
          -0.4128 0.4638 -0.8900 -0.8845460 TSLA Short-Efficiency q95 360
          -0.4193 0.4450 -0.9424 -0.8897031 NVDA Short-Efficiency q95 360

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.4253 0.5363 0.7930 3.2088777 NVDA Short-Inefficiency-Long-Efficiency q99 360
    0.3481 0.3280 1.0613 2.3579318 GOOGL Short-Inefficiency-Long-Efficiency q99 360
    0.2825 0.3669 0.7701 1.7434446 XOM Short-Inefficiency-Long-Efficiency q99 360
    0.1752 0.3218 0.5444 0.9245330 MSFT Short-Inefficiency-Long-Efficiency q99 360
    0.1728 0.3282 0.5265 0.9084955 GOOG Short-Inefficiency-Long-Efficiency q99 360
    0.1604 0.3837 0.4181 0.8284426 CVX Short-Inefficiency-Long-Efficiency q99 360
    0.1281 0.3370 0.3801 0.6303830 AAPL Short-Inefficiency-Long-Efficiency q99 360
    0.0722 0.3387 0.2133 0.3269571 MA Short-Inefficiency-Long-Efficiency q99 360
    0.0616 0.6792 0.0907 0.2742842 TSLA Short-Inefficiency-Long-Efficiency q99 360
    0.0531 0.3089 0.1717 0.2332619 HD Short-Inefficiency-Long-Efficiency q99 360
    -0.0593 0.3015 -0.1966 -0.2195350 V Short-Inefficiency-Long-Efficiency q99 360
    -0.0597 0.2062 -0.2895 -0.2208600 JNJ Short-Inefficiency-Long-Efficiency q99 360
    -0.0798 0.3437 -0.2321 -0.2862168 JPM Short-Inefficiency-Long-Efficiency q99 360
    -0.1008 0.2230 -0.4521 -0.3501300 PG Short-Inefficiency-Long-Efficiency q99 360
    -0.1033 0.3648 -0.2830 -0.3572683 AMZN Short-Inefficiency-Long-Efficiency q99 360
    -0.1312 0.3092 -0.4242 -0.4345891 UNH Short-Inefficiency-Long-Efficiency q99 360
    -0.1586 0.3810 -0.4161 -0.5034705 AVGO Short-Inefficiency-Long-Efficiency q99 360
    -0.2103 0.3139 -0.6699 -0.6161069 LLY Short-Inefficiency-Long-Efficiency q99 360
    -0.2878 0.4684 -0.6144 -0.7474906 META Short-Inefficiency-Long-Efficiency q99 360
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0742 0.1093 0.6782 0.3365829 GOOGL Short-Inefficiency q99 360
      0.0651 0.2204 0.2956 0.2917061 XOM Short-Inefficiency q99 360
      0.0126 0.3029 0.0415 0.0519747 CVX Short-Inefficiency q99 360
      0.0008 0.1077 0.0074 0.0032295 GOOG Short-Inefficiency q99 360
      -0.0214 0.2682 -0.0799 -0.0840852 MA Short-Inefficiency q99 360
      -0.0395 0.2310 -0.1710 -0.1508030 MSFT Short-Inefficiency q99 360
      -0.0467 0.2503 -0.1866 -0.1763383 HD Short-Inefficiency q99 360
      -0.0607 0.1301 -0.4668 -0.2243135 JNJ Short-Inefficiency q99 360
      -0.0705 0.2159 -0.3264 -0.2565400 NVDA Short-Inefficiency q99 360
      -0.0822 0.2072 -0.3964 -0.2936544 AMZN Short-Inefficiency q99 360
      -0.0843 0.2733 -0.3084 -0.3002894 V Short-Inefficiency q99 360
      -0.0914 0.1436 -0.6367 -0.3221971 AAPL Short-Inefficiency q99 360
      -0.0972 0.1429 -0.6803 -0.3394180 PG Short-Inefficiency q99 360
      -0.1061 0.3205 -0.3310 -0.3653806 JPM Short-Inefficiency q99 360
      -0.1558 0.2610 -0.5969 -0.4968566 UNH Short-Inefficiency q99 360
      -0.1770 0.2116 -0.8368 -0.5462203 META Short-Inefficiency q99 360
      -0.1994 0.1654 -1.2053 -0.5941247 AVGO Short-Inefficiency q99 360
      -0.2529 0.3867 -0.6540 -0.6934791 TSLA Short-Inefficiency q99 360
      -0.2635 0.2654 -0.9926 -0.7107004 LLY Short-Inefficiency q99 360
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.1471 0.3139 0.4687 0.7448149 LLY Short-Efficiency-Long-Inefficiency q99 360
        0.1245 0.4684 0.2658 0.6095342 META Short-Efficiency-Long-Inefficiency q99 360
        0.0581 0.2230 0.2607 0.2575158 PG Short-Efficiency-Long-Inefficiency q99 360
        0.0457 0.3092 0.1479 0.1987859 UNH Short-Efficiency-Long-Inefficiency q99 360
        0.0273 0.3810 0.0715 0.1152575 AVGO Short-Efficiency-Long-Inefficiency q99 360
        0.0192 0.2062 0.0932 0.0802489 JNJ Short-Efficiency-Long-Inefficiency q99 360
        -0.0240 0.3648 -0.0657 -0.0936790 AMZN Short-Efficiency-Long-Inefficiency q99 360
        -0.0294 0.3015 -0.0977 -0.1141367 V Short-Efficiency-Long-Inefficiency q99 360
        -0.0347 0.3437 -0.1009 -0.1333759 JPM Short-Efficiency-Long-Inefficiency q99 360
        -0.1372 0.3089 -0.4440 -0.4502558 HD Short-Efficiency-Long-Inefficiency q99 360
        -0.1686 0.3387 -0.4979 -0.5271577 MA Short-Efficiency-Long-Inefficiency q99 360
        -0.2089 0.3370 -0.6198 -0.6133847 AAPL Short-Efficiency-Long-Inefficiency q99 360
        -0.2330 0.3218 -0.7241 -0.6589921 MSFT Short-Efficiency-Long-Inefficiency q99 360
        -0.2345 0.3282 -0.7147 -0.6617648 GOOG Short-Efficiency-Long-Inefficiency q99 360
        -0.2571 0.3837 -0.6701 -0.7003843 CVX Short-Efficiency-Long-Inefficiency q99 360
        -0.3189 0.3669 -0.8691 -0.7892966 XOM Short-Efficiency-Long-Inefficiency q99 360
        -0.3342 0.3280 -1.0190 -0.8079030 GOOGL Short-Efficiency-Long-Inefficiency q99 360
        -0.4076 0.6792 -0.6002 -0.8803976 TSLA Short-Efficiency-Long-Inefficiency q99 360
        -0.4747 0.5363 -0.8852 -0.9265417 NVDA Short-Efficiency-Long-Inefficiency q99 360
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          -0.0250 0.1712 -0.1459 -0.0975161 PG Short-Efficiency q99 360
          -0.0263 0.1599 -0.1646 -0.1025351 JNJ Short-Efficiency q99 360
          -0.0318 0.4180 -0.0761 -0.1229239 META Short-Efficiency q99 360
          -0.0422 0.1273 -0.3317 -0.1604661 V Short-Efficiency q99 360
          -0.0435 0.1242 -0.3499 -0.1649534 JPM Short-Efficiency q99 360
          -0.0547 0.1657 -0.3300 -0.2038466 UNH Short-Efficiency q99 360
          -0.0647 0.3003 -0.2156 -0.2376685 AMZN Short-Efficiency q99 360
          -0.0931 0.1670 -0.5573 -0.3271041 LLY Short-Efficiency q99 360
          -0.1240 0.1811 -0.6848 -0.4153877 HD Short-Efficiency q99 360
          -0.1257 0.2069 -0.6077 -0.4200821 MA Short-Efficiency q99 360
          -0.1546 0.3430 -0.4506 -0.4938325 AVGO Short-Efficiency q99 360
          -0.1746 0.2356 -0.7412 -0.5408559 CVX Short-Efficiency q99 360
          -0.2228 0.2240 -0.9948 -0.6402766 MSFT Short-Efficiency q99 360
          -0.2250 0.3100 -0.7258 -0.6443165 GOOG Short-Efficiency q99 360
          -0.2383 0.2936 -0.8115 -0.6684001 XOM Short-Efficiency q99 360
          -0.2662 0.3046 -0.8741 -0.7150569 AAPL Short-Efficiency q99 360
          -0.2762 0.3095 -0.8926 -0.7304673 GOOGL Short-Efficiency q99 360
          -0.4854 0.5575 -0.8707 -0.9324309 TSLA Short-Efficiency q99 360
          -0.4884 0.4907 -0.9954 -0.9340072 NVDA Short-Efficiency q99 360
          [1] “”

720 window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0111 0.3797 0.0292 0.0293650 AMZN Short-Inefficiency-Long-Efficiency q70 720
    -0.0515 0.1772 -0.2906 -0.1297030 PG Short-Inefficiency-Long-Efficiency q70 720
    -0.0705 0.1592 -0.4431 -0.1748243 JNJ Short-Inefficiency-Long-Efficiency q70 720
    -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q70 720
    -0.0876 0.2558 -0.3427 -0.2141168 HD Short-Inefficiency-Long-Efficiency q70 720
    -0.0944 0.2577 -0.3663 -0.2292798 JPM Short-Inefficiency-Long-Efficiency q70 720
    -0.1061 0.2831 -0.3748 -0.2552113 MA Short-Inefficiency-Long-Efficiency q70 720
    -0.1330 0.2911 -0.4570 -0.3127536 AAPL Short-Inefficiency-Long-Efficiency q70 720
    -0.1374 0.2190 -0.6275 -0.3218632 UNH Short-Inefficiency-Long-Efficiency q70 720
    -0.1654 0.3184 -0.5196 -0.3781284 GOOG Short-Inefficiency-Long-Efficiency q70 720
    -0.1671 0.3192 -0.5234 -0.3813451 GOOGL Short-Inefficiency-Long-Efficiency q70 720
    -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q70 720
    -0.2349 0.5408 -0.4343 -0.5050660 NVDA Short-Inefficiency-Long-Efficiency q70 720
    -0.2557 0.3233 -0.7909 -0.5397137 XOM Short-Inefficiency-Long-Efficiency q70 720
    -0.2583 0.2914 -0.8864 -0.5438172 CVX Short-Inefficiency-Long-Efficiency q70 720
    -0.3547 0.6114 -0.5802 -0.6835732 TSLA Short-Inefficiency-Long-Efficiency q70 720
    -0.3597 0.3248 -1.1075 -0.6899825 AVGO Short-Inefficiency-Long-Efficiency q70 720
    -0.3835 0.2823 -1.3588 -0.7193927 LLY Short-Inefficiency-Long-Efficiency q70 720
    -0.3907 0.4990 -0.7830 -0.7278963 META Short-Inefficiency-Long-Efficiency q70 720
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0311 0.3169 0.0983 0.0838950 AMZN Short-Inefficiency q70 720
      -0.0588 0.1743 -0.3374 -0.1472153 PG Short-Inefficiency q70 720
      -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q70 720
      -0.0758 0.1589 -0.4768 -0.1869773 JNJ Short-Inefficiency q70 720
      -0.0947 0.2554 -0.3706 -0.2299273 HD Short-Inefficiency q70 720
      -0.0961 0.2825 -0.3401 -0.2331295 MA Short-Inefficiency q70 720
      -0.1110 0.2536 -0.4375 -0.2658098 JPM Short-Inefficiency q70 720
      -0.1409 0.2189 -0.6434 -0.3289016 UNH Short-Inefficiency q70 720
      -0.1460 0.2623 -0.5566 -0.3393424 GOOGL Short-Inefficiency q70 720
      -0.1466 0.2636 -0.5562 -0.3406762 GOOG Short-Inefficiency q70 720
      -0.1690 0.2796 -0.6045 -0.3851799 AAPL Short-Inefficiency q70 720
      -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q70 720
      -0.2295 0.3913 -0.5866 -0.4958988 META Short-Inefficiency q70 720
      -0.2746 0.2870 -0.9568 -0.5697795 CVX Short-Inefficiency q70 720
      -0.3211 0.2724 -1.1787 -0.6384000 XOM Short-Inefficiency q70 720
      -0.3311 0.5117 -0.6471 -0.6523345 NVDA Short-Inefficiency q70 720
      -0.3444 0.3212 -1.0723 -0.6702148 AVGO Short-Inefficiency q70 720
      -0.3481 0.6112 -0.5696 -0.6750547 TSLA Short-Inefficiency q70 720
      -0.3903 0.2816 -1.3858 -0.7273768 LLY Short-Inefficiency q70 720
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.4968 0.2823 1.7599 1.8848099 LLY Short-Efficiency-Long-Inefficiency q70 720
        0.4046 0.3248 1.2457 1.4413030 AVGO Short-Efficiency-Long-Inefficiency q70 720
        0.2744 0.4990 0.5500 0.8909467 META Short-Efficiency-Long-Inefficiency q70 720
        0.2382 0.2914 0.8177 0.7530348 CVX Short-Efficiency-Long-Inefficiency q70 720
        0.2101 0.3233 0.6496 0.6501546 XOM Short-Efficiency-Long-Inefficiency q70 720
        0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q70 720
        0.1050 0.2190 0.4794 0.2999584 UNH Short-Efficiency-Long-Inefficiency q70 720
        0.0843 0.3192 0.2641 0.2368379 GOOGL Short-Efficiency-Long-Inefficiency q70 720
        0.0827 0.3184 0.2597 0.2320631 GOOG Short-Efficiency-Long-Inefficiency q70 720
        0.0654 0.6114 0.1070 0.1811473 TSLA Short-Efficiency-Long-Inefficiency q70 720
        0.0598 0.2911 0.2053 0.1647071 AAPL Short-Efficiency-Long-Inefficiency q70 720
        0.0490 0.1592 0.3077 0.1338529 JNJ Short-Efficiency-Long-Inefficiency q70 720
        0.0333 0.2577 0.1294 0.0899524 JPM Short-Efficiency-Long-Inefficiency q70 720
        0.0326 0.2831 0.1151 0.0878790 MA Short-Efficiency-Long-Inefficiency q70 720
        0.0267 0.2558 0.1043 0.0716209 HD Short-Efficiency-Long-Inefficiency q70 720
        0.0217 0.1772 0.1226 0.0581044 PG Short-Efficiency-Long-Inefficiency q70 720
        0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q70 720
        -0.0251 0.5408 -0.0464 -0.0645948 NVDA Short-Efficiency-Long-Inefficiency q70 720
        -0.1438 0.3797 -0.3789 -0.3349976 AMZN Short-Efficiency-Long-Inefficiency q70 720
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1451 0.3101 0.4680 0.4275402 META Short-Efficiency q70 720
          0.0214 0.0487 0.4392 0.0571595 AVGO Short-Efficiency q70 720
          0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q70 720
          0.0109 0.0178 0.6116 0.0287947 MA Short-Efficiency q70 720
          0.0099 0.0162 0.6120 0.0262154 TSLA Short-Efficiency q70 720
          -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q70 720
          -0.0040 0.0065 -0.6190 -0.0104878 UNH Short-Efficiency q70 720
          -0.0057 0.0092 -0.6199 -0.0149479 JNJ Short-Efficiency q70 720
          -0.0079 0.0127 -0.6209 -0.0205312 HD Short-Efficiency q70 720
          -0.0081 0.1819 -0.0443 -0.0210154 GOOGL Short-Efficiency q70 720
          -0.0087 0.0319 -0.2735 -0.0227296 PG Short-Efficiency q70 720
          -0.0096 0.1785 -0.0536 -0.0249301 GOOG Short-Efficiency q70 720
          -0.0113 0.0181 -0.6227 -0.0292863 LLY Short-Efficiency q70 720
          -0.0203 0.0453 -0.4487 -0.0525169 JPM Short-Efficiency q70 720
          -0.0238 0.2091 -0.1137 -0.0612664 AMZN Short-Efficiency q70 720
          -0.0245 0.0495 -0.4937 -0.0629714 CVX Short-Efficiency q70 720
          -0.0477 0.0807 -0.5917 -0.1205715 AAPL Short-Efficiency q70 720
          -0.1148 0.1734 -0.6621 -0.2740798 XOM Short-Efficiency q70 720
          -0.1520 0.1742 -0.8728 -0.3515791 NVDA Short-Efficiency q70 720

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0984 0.5407 0.1820 0.2796517 NVDA Short-Inefficiency-Long-Efficiency q90 720
    0.0422 0.3796 0.1111 0.1146718 AMZN Short-Inefficiency-Long-Efficiency q90 720
    0.0412 0.3236 0.1273 0.1119295 XOM Short-Inefficiency-Long-Efficiency q90 720
    0.0021 0.2831 0.0073 0.0054100 MA Short-Inefficiency-Long-Efficiency q90 720
    -0.0245 0.3185 -0.0770 -0.0631666 GOOG Short-Inefficiency-Long-Efficiency q90 720
    -0.0353 0.2558 -0.1381 -0.0901356 HD Short-Inefficiency-Long-Efficiency q90 720
    -0.0391 0.2912 -0.1342 -0.0994441 AAPL Short-Inefficiency-Long-Efficiency q90 720
    -0.0455 0.1772 -0.2565 -0.1150490 PG Short-Inefficiency-Long-Efficiency q90 720
    -0.0638 0.1592 -0.4005 -0.1589394 JNJ Short-Inefficiency-Long-Efficiency q90 720
    -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q90 720
    -0.1061 0.3193 -0.3324 -0.2552707 GOOGL Short-Inefficiency-Long-Efficiency q90 720
    -0.1193 0.2576 -0.4632 -0.2838321 JPM Short-Inefficiency-Long-Efficiency q90 720
    -0.1374 0.2190 -0.6275 -0.3218632 UNH Short-Inefficiency-Long-Efficiency q90 720
    -0.1493 0.3257 -0.4584 -0.3460250 AVGO Short-Inefficiency-Long-Efficiency q90 720
    -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q90 720
    -0.2964 0.2912 -1.0181 -0.6029080 CVX Short-Inefficiency-Long-Efficiency q90 720
    -0.3464 0.6114 -0.5665 -0.6727305 TSLA Short-Inefficiency-Long-Efficiency q90 720
    -0.3526 0.2825 -1.2480 -0.6809071 LLY Short-Inefficiency-Long-Efficiency q90 720
    -0.3673 0.4991 -0.7359 -0.6995656 META Short-Inefficiency-Long-Efficiency q90 720
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0489 0.3107 0.1574 0.1336672 AMZN Short-Inefficiency q90 720
      -0.0408 0.2742 -0.1486 -0.1035490 MA Short-Inefficiency q90 720
      -0.0554 0.1716 -0.3227 -0.1390117 PG Short-Inefficiency q90 720
      -0.0639 0.2012 -0.3177 -0.1592910 GOOG Short-Inefficiency q90 720
      -0.0683 0.2523 -0.2708 -0.1696391 HD Short-Inefficiency q90 720
      -0.0721 0.1566 -0.4602 -0.1783914 JNJ Short-Inefficiency q90 720
      -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q90 720
      -0.1033 0.2046 -0.5048 -0.2490733 GOOGL Short-Inefficiency q90 720
      -0.1207 0.2608 -0.4627 -0.2866826 AAPL Short-Inefficiency q90 720
      -0.1227 0.2510 -0.4890 -0.2910360 JPM Short-Inefficiency q90 720
      -0.1409 0.2189 -0.6434 -0.3289016 UNH Short-Inefficiency q90 720
      -0.1849 0.4783 -0.3867 -0.4156016 NVDA Short-Inefficiency q90 720
      -0.1912 0.2452 -0.7795 -0.4272552 XOM Short-Inefficiency q90 720
      -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q90 720
      -0.2030 0.3510 -0.5784 -0.4490381 META Short-Inefficiency q90 720
      -0.2392 0.2996 -0.7982 -0.5122883 AVGO Short-Inefficiency q90 720
      -0.2929 0.2837 -1.0323 -0.5976456 CVX Short-Inefficiency q90 720
      -0.3439 0.6111 -0.5628 -0.6694873 TSLA Short-Inefficiency q90 720
      -0.3737 0.2732 -1.3676 -0.7074724 LLY Short-Inefficiency q90 720
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.4253 0.2825 1.5052 1.5368753 LLY Short-Efficiency-Long-Inefficiency q90 720
        0.3054 0.2912 1.0489 1.0139016 CVX Short-Efficiency-Long-Inefficiency q90 720
        0.2273 0.4991 0.4554 0.7126322 META Short-Efficiency-Long-Inefficiency q90 720
        0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q90 720
        0.1050 0.2190 0.4794 0.2999584 UNH Short-Efficiency-Long-Inefficiency q90 720
        0.0626 0.2576 0.2430 0.1729767 JPM Short-Efficiency-Long-Inefficiency q90 720
        0.0572 0.3257 0.1756 0.1573020 AVGO Short-Efficiency-Long-Inefficiency q90 720
        0.0518 0.6114 0.0848 0.1420148 TSLA Short-Efficiency-Long-Inefficiency q90 720
        0.0414 0.1592 0.2600 0.1124380 JNJ Short-Efficiency-Long-Inefficiency q90 720
        0.0153 0.1772 0.0861 0.0405831 PG Short-Efficiency-Long-Inefficiency q90 720
        0.0104 0.3193 0.0325 0.0274549 GOOGL Short-Efficiency-Long-Inefficiency q90 720
        0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q90 720
        -0.0290 0.2558 -0.1134 -0.0744018 HD Short-Efficiency-Long-Inefficiency q90 720
        -0.0439 0.2912 -0.1506 -0.1111703 AAPL Short-Efficiency-Long-Inefficiency q90 720
        -0.0737 0.3185 -0.2314 -0.1821544 GOOG Short-Efficiency-Long-Inefficiency q90 720
        -0.0789 0.2831 -0.2786 -0.1941198 MA Short-Efficiency-Long-Inefficiency q90 720
        -0.1351 0.3236 -0.4173 -0.3169140 XOM Short-Efficiency-Long-Inefficiency q90 720
        -0.1694 0.3796 -0.4462 -0.3858908 AMZN Short-Efficiency-Long-Inefficiency q90 720
        -0.3209 0.5407 -0.5935 -0.6382111 NVDA Short-Efficiency-Long-Inefficiency q90 720
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1070 0.3551 0.3013 0.3061244 META Short-Efficiency q90 720
          0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q90 720
          0.0034 0.0192 0.1762 0.0089293 TSLA Short-Efficiency q90 720
          0.0007 0.0655 0.0112 0.0019248 CVX Short-Efficiency q90 720
          -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q90 720
          -0.0040 0.0065 -0.6190 -0.0104878 UNH Short-Efficiency q90 720
          -0.0072 0.0582 -0.1238 -0.0188038 JPM Short-Efficiency q90 720
          -0.0097 0.0287 -0.3371 -0.0252418 JNJ Short-Efficiency q90 720
          -0.0123 0.0441 -0.2791 -0.0320411 PG Short-Efficiency q90 720
          -0.0359 0.0422 -0.8514 -0.0916453 HD Short-Efficiency q90 720
          -0.0374 0.0710 -0.5267 -0.0953364 LLY Short-Efficiency q90 720
          -0.0403 0.2181 -0.1849 -0.1024802 AMZN Short-Efficiency q90 720
          -0.0475 0.0704 -0.6743 -0.1199158 MA Short-Efficiency q90 720
          -0.0553 0.2450 -0.2255 -0.1386994 GOOGL Short-Efficiency q90 720
          -0.0971 0.2468 -0.3933 -0.2353040 GOOG Short-Efficiency q90 720
          -0.1001 0.1293 -0.7743 -0.2420059 AAPL Short-Efficiency q90 720
          -0.1200 0.1267 -0.9468 -0.2851605 AVGO Short-Efficiency q90 720
          -0.2570 0.2102 -1.2222 -0.5416933 XOM Short-Efficiency q90 720
          -0.3041 0.2518 -1.2081 -0.6142467 NVDA Short-Efficiency q90 720

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.3149 0.3230 0.9750 1.0529228 XOM Short-Inefficiency-Long-Efficiency q95 720
    0.2312 0.5404 0.4278 0.7269636 NVDA Short-Inefficiency-Long-Efficiency q95 720
    0.0386 0.3796 0.1018 0.1047277 AMZN Short-Inefficiency-Long-Efficiency q95 720
    0.0312 0.3184 0.0981 0.0841608 GOOG Short-Inefficiency-Long-Efficiency q95 720
    0.0309 0.2577 0.1200 0.0832646 JPM Short-Inefficiency-Long-Efficiency q95 720
    0.0189 0.2831 0.0668 0.0504320 MA Short-Inefficiency-Long-Efficiency q95 720
    -0.0120 0.3193 -0.0375 -0.0311698 GOOGL Short-Inefficiency-Long-Efficiency q95 720
    -0.0184 0.1772 -0.1039 -0.0476500 PG Short-Inefficiency-Long-Efficiency q95 720
    -0.0279 0.1592 -0.1751 -0.0715860 JNJ Short-Inefficiency-Long-Efficiency q95 720
    -0.0330 0.3257 -0.1012 -0.0842854 AVGO Short-Inefficiency-Long-Efficiency q95 720
    -0.0510 0.2912 -0.1752 -0.1285293 AAPL Short-Inefficiency-Long-Efficiency q95 720
    -0.0528 0.2558 -0.2065 -0.1328886 HD Short-Inefficiency-Long-Efficiency q95 720
    -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q95 720
    -0.1447 0.2190 -0.6607 -0.3367788 UNH Short-Inefficiency-Long-Efficiency q95 720
    -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q95 720
    -0.2275 0.2833 -0.8031 -0.4924589 LLY Short-Inefficiency-Long-Efficiency q95 720
    -0.2539 0.4994 -0.5085 -0.5367674 META Short-Inefficiency-Long-Efficiency q95 720
    -0.2678 0.2913 -0.9194 -0.5590928 CVX Short-Inefficiency-Long-Efficiency q95 720
    -0.3405 0.6114 -0.5569 -0.6649556 TSLA Short-Inefficiency-Long-Efficiency q95 720
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0476 0.3094 0.1537 0.1298344 AMZN Short-Inefficiency q95 720
      -0.0324 0.2730 -0.1187 -0.0828630 MA Short-Inefficiency q95 720
      -0.0337 0.1806 -0.1868 -0.0861970 GOOG Short-Inefficiency q95 720
      -0.0419 0.1706 -0.2457 -0.1064114 PG Short-Inefficiency q95 720
      -0.0488 0.2424 -0.2013 -0.1231508 JPM Short-Inefficiency q95 720
      -0.0522 0.1765 -0.2957 -0.1313254 GOOGL Short-Inefficiency q95 720
      -0.0536 0.1505 -0.3559 -0.1346487 JNJ Short-Inefficiency q95 720
      -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q95 720
      -0.0766 0.2515 -0.3047 -0.1889887 HD Short-Inefficiency q95 720
      -0.0860 0.2217 -0.3878 -0.2103257 XOM Short-Inefficiency q95 720
      -0.1244 0.2528 -0.4919 -0.2945126 AAPL Short-Inefficiency q95 720
      -0.1303 0.3368 -0.3868 -0.3069329 META Short-Inefficiency q95 720
      -0.1332 0.4689 -0.2841 -0.3131646 NVDA Short-Inefficiency q95 720
      -0.1445 0.2188 -0.6602 -0.3362822 UNH Short-Inefficiency q95 720
      -0.1853 0.2852 -0.6499 -0.4163520 AVGO Short-Inefficiency q95 720
      -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q95 720
      -0.2782 0.2816 -0.9881 -0.5753262 CVX Short-Inefficiency q95 720
      -0.3130 0.2579 -1.2134 -0.6269722 LLY Short-Inefficiency q95 720
      -0.3405 0.6100 -0.5582 -0.6650241 TSLA Short-Inefficiency q95 720
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.2544 0.2913 0.8733 0.8137701 CVX Short-Efficiency-Long-Inefficiency q95 720
        0.1945 0.2833 0.6865 0.5949425 LLY Short-Efficiency-Long-Inefficiency q95 720
        0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q95 720
        0.1144 0.2190 0.5224 0.3291940 UNH Short-Efficiency-Long-Inefficiency q95 720
        0.0425 0.6114 0.0695 0.1155136 TSLA Short-Efficiency-Long-Inefficiency q95 720
        0.0408 0.4994 0.0817 0.1107458 META Short-Efficiency-Long-Inefficiency q95 720
        0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q95 720
        0.0030 0.1592 0.0185 0.0077701 JNJ Short-Efficiency-Long-Inefficiency q95 720
        -0.0110 0.2558 -0.0432 -0.0287651 HD Short-Efficiency-Long-Inefficiency q95 720
        -0.0127 0.1772 -0.0717 -0.0330603 PG Short-Efficiency-Long-Inefficiency q95 720
        -0.0318 0.2912 -0.1094 -0.0815059 AAPL Short-Efficiency-Long-Inefficiency q95 720
        -0.0700 0.3257 -0.2148 -0.1734907 AVGO Short-Efficiency-Long-Inefficiency q95 720
        -0.0859 0.3193 -0.2691 -0.2102065 GOOGL Short-Efficiency-Long-Inefficiency q95 720
        -0.0923 0.2577 -0.3580 -0.2245216 JPM Short-Efficiency-Long-Inefficiency q95 720
        -0.0941 0.2831 -0.3324 -0.2286602 MA Short-Efficiency-Long-Inefficiency q95 720
        -0.1238 0.3184 -0.3887 -0.2932920 GOOG Short-Efficiency-Long-Inefficiency q95 720
        -0.1666 0.3796 -0.4387 -0.3803630 AMZN Short-Efficiency-Long-Inefficiency q95 720
        -0.3151 0.3230 -0.9754 -0.6300185 XOM Short-Efficiency-Long-Inefficiency q95 720
        -0.3942 0.5404 -0.7293 -0.7319203 NVDA Short-Efficiency-Long-Inefficiency q95 720
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0144 0.3689 0.0391 0.0383191 META Short-Efficiency q95 720
          0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q95 720
          0.0002 0.0094 0.0208 0.0005157 UNH Short-Efficiency q95 720
          -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q95 720
          -0.0017 0.0406 -0.0424 -0.0045137 TSLA Short-Efficiency q95 720
          -0.0196 0.0745 -0.2636 -0.0507329 CVX Short-Efficiency q95 720
          -0.0262 0.0480 -0.5461 -0.0673546 PG Short-Efficiency q95 720
          -0.0272 0.0464 -0.5870 -0.0699733 HD Short-Efficiency q95 720
          -0.0290 0.0520 -0.5589 -0.0745149 JNJ Short-Efficiency q95 720
          -0.0391 0.2200 -0.1776 -0.0994355 AMZN Short-Efficiency q95 720
          -0.0557 0.0751 -0.7413 -0.1397661 MA Short-Efficiency q95 720
          -0.0844 0.0874 -0.9654 -0.2066677 JPM Short-Efficiency q95 720
          -0.0963 0.1443 -0.6675 -0.2335932 AAPL Short-Efficiency q95 720
          -0.1062 0.2660 -0.3993 -0.2554477 GOOGL Short-Efficiency q95 720
          -0.1225 0.1157 -1.0584 -0.2905647 LLY Short-Efficiency q95 720
          -0.1253 0.2623 -0.4777 -0.2964711 GOOG Short-Efficiency q95 720
          -0.1781 0.1567 -1.1368 -0.4026612 AVGO Short-Efficiency q95 720
          -0.3425 0.2346 -1.4601 -0.6675936 XOM Short-Efficiency q95 720
          -0.3456 0.2685 -1.2875 -0.6717793 NVDA Short-Efficiency q95 720

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.4064 0.3227 1.2592 1.4495667 XOM Short-Inefficiency-Long-Efficiency q99 720
    0.1371 0.5406 0.2536 0.4014067 NVDA Short-Inefficiency-Long-Efficiency q99 720
    0.1093 0.3256 0.3357 0.3132544 AVGO Short-Inefficiency-Long-Efficiency q99 720
    0.0746 0.2576 0.2895 0.2079676 JPM Short-Inefficiency-Long-Efficiency q99 720
    0.0303 0.2831 0.1071 0.0816449 MA Short-Inefficiency-Long-Efficiency q99 720
    0.0061 0.1772 0.0342 0.0160136 PG Short-Inefficiency-Long-Efficiency q99 720
    -0.0102 0.3797 -0.0269 -0.0265746 AMZN Short-Inefficiency-Long-Efficiency q99 720
    -0.0611 0.1592 -0.3835 -0.1525564 JNJ Short-Inefficiency-Long-Efficiency q99 720
    -0.0896 0.2557 -0.3504 -0.2185415 V Short-Inefficiency-Long-Efficiency q99 720
    -0.1067 0.2191 -0.4868 -0.2564153 UNH Short-Inefficiency-Long-Efficiency q99 720
    -0.1164 0.3184 -0.3656 -0.2775578 GOOG Short-Inefficiency-Long-Efficiency q99 720
    -0.1253 0.2836 -0.4419 -0.2965430 LLY Short-Inefficiency-Long-Efficiency q99 720
    -0.1343 0.2917 -0.4605 -0.3154347 CVX Short-Inefficiency-Long-Efficiency q99 720
    -0.1466 0.2557 -0.5736 -0.3407054 HD Short-Inefficiency-Long-Efficiency q99 720
    -0.1684 0.3192 -0.5278 -0.3840453 GOOGL Short-Inefficiency-Long-Efficiency q99 720
    -0.1818 0.2910 -0.6247 -0.4097173 AAPL Short-Inefficiency-Long-Efficiency q99 720
    -0.1839 0.2852 -0.6448 -0.4136674 MSFT Short-Inefficiency-Long-Efficiency q99 720
    -0.2805 0.4994 -0.5618 -0.5789254 META Short-Inefficiency-Long-Efficiency q99 720
    -0.4010 0.6112 -0.6560 -0.7397855 TSLA Short-Inefficiency-Long-Efficiency q99 720
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0230 0.3082 0.0746 0.0615699 AMZN Short-Inefficiency q99 720
      -0.0230 0.2163 -0.1065 -0.0594219 JPM Short-Inefficiency q99 720
      -0.0230 0.2577 -0.0894 -0.0594069 MA Short-Inefficiency q99 720
      -0.0300 0.1702 -0.1762 -0.0768376 PG Short-Inefficiency q99 720
      -0.0478 0.1862 -0.2570 -0.1208355 XOM Short-Inefficiency q99 720
      -0.0694 0.1471 -0.4718 -0.1721432 JNJ Short-Inefficiency q99 720
      -0.0805 0.2502 -0.3220 -0.1979657 V Short-Inefficiency q99 720
      -0.1011 0.1505 -0.6719 -0.2442687 GOOG Short-Inefficiency q99 720
      -0.1196 0.2519 -0.4748 -0.2844215 AVGO Short-Inefficiency q99 720
      -0.1215 0.2418 -0.5024 -0.2883702 HD Short-Inefficiency q99 720
      -0.1250 0.2154 -0.5802 -0.2958339 UNH Short-Inefficiency q99 720
      -0.1263 0.1468 -0.8606 -0.2986161 GOOGL Short-Inefficiency q99 720
      -0.1308 0.2800 -0.4671 -0.3080117 META Short-Inefficiency q99 720
      -0.1601 0.4508 -0.3551 -0.3675904 NVDA Short-Inefficiency q99 720
      -0.1790 0.2105 -0.8503 -0.4043095 AAPL Short-Inefficiency q99 720
      -0.1868 0.2800 -0.6671 -0.4190396 MSFT Short-Inefficiency q99 720
      -0.2130 0.2717 -0.7838 -0.4669231 CVX Short-Inefficiency q99 720
      -0.2645 0.2335 -1.1327 -0.5537582 LLY Short-Inefficiency q99 720
      -0.3688 0.6027 -0.6118 -0.7013719 TSLA Short-Inefficiency q99 720
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.1478 0.6112 0.2418 0.4363022 TSLA Short-Efficiency-Long-Inefficiency q99 720
        0.1296 0.2852 0.4544 0.3772576 MSFT Short-Efficiency-Long-Inefficiency q99 720
        0.1229 0.2910 0.4224 0.3560296 AAPL Short-Efficiency-Long-Inefficiency q99 720
        0.0977 0.2557 0.3820 0.2773787 HD Short-Efficiency-Long-Inefficiency q99 720
        0.0861 0.3192 0.2697 0.2422598 GOOGL Short-Efficiency-Long-Inefficiency q99 720
        0.0793 0.4994 0.1588 0.2219537 META Short-Efficiency-Long-Inefficiency q99 720
        0.0669 0.2191 0.3055 0.1855402 UNH Short-Efficiency-Long-Inefficiency q99 720
        0.0610 0.2917 0.2090 0.1681928 CVX Short-Efficiency-Long-Inefficiency q99 720
        0.0549 0.2836 0.1936 0.1507440 LLY Short-Efficiency-Long-Inefficiency q99 720
        0.0384 0.1592 0.2412 0.1040591 JNJ Short-Efficiency-Long-Inefficiency q99 720
        0.0289 0.2557 0.1131 0.0777513 V Short-Efficiency-Long-Inefficiency q99 720
        0.0226 0.3184 0.0711 0.0605486 GOOG Short-Efficiency-Long-Inefficiency q99 720
        -0.0367 0.1772 -0.2073 -0.0936489 PG Short-Efficiency-Long-Inefficiency q99 720
        -0.1041 0.2831 -0.3679 -0.2509187 MA Short-Efficiency-Long-Inefficiency q99 720
        -0.1254 0.3797 -0.3304 -0.2967821 AMZN Short-Efficiency-Long-Inefficiency q99 720
        -0.1291 0.2576 -0.5013 -0.3045771 JPM Short-Efficiency-Long-Inefficiency q99 720
        -0.1892 0.3256 -0.5812 -0.4236862 AVGO Short-Efficiency-Long-Inefficiency q99 720
        -0.3440 0.5406 -0.6363 -0.6696435 NVDA Short-Efficiency-Long-Inefficiency q99 720
        -0.3596 0.3227 -1.1143 -0.6899274 XOM Short-Efficiency-Long-Inefficiency q99 720
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0429 0.1020 0.4204 0.1166528 TSLA Short-Efficiency q99 720
          0.0224 0.0833 0.2690 0.0599081 HD Short-Efficiency q99 720
          0.0150 0.4136 0.0363 0.0399378 META Short-Efficiency q99 720
          0.0071 0.0531 0.1337 0.0187587 V Short-Efficiency q99 720
          -0.0064 0.0543 -0.1185 -0.0168084 MSFT Short-Efficiency q99 720
          -0.0125 0.0610 -0.2056 -0.0325987 JNJ Short-Efficiency q99 720
          -0.0160 0.2217 -0.0722 -0.0415245 AMZN Short-Efficiency q99 720
          -0.0221 0.0399 -0.5539 -0.0569553 UNH Short-Efficiency q99 720
          -0.0304 0.2834 -0.1072 -0.0778607 GOOGL Short-Efficiency q99 720
          -0.0362 0.2009 -0.1802 -0.0923301 AAPL Short-Efficiency q99 720
          -0.0382 0.0495 -0.7709 -0.0972322 PG Short-Efficiency q99 720
          -0.0597 0.2806 -0.2128 -0.1493182 GOOG Short-Efficiency q99 720
          -0.0647 0.1172 -0.5525 -0.1612182 MA Short-Efficiency q99 720
          -0.1009 0.1054 -0.9569 -0.2437697 CVX Short-Efficiency q99 720
          -0.1085 0.1399 -0.7756 -0.2604200 JPM Short-Efficiency q99 720
          -0.1804 0.1597 -1.1297 -0.4069603 LLY Short-Efficiency q99 720
          -0.2395 0.2058 -1.1637 -0.5127919 AVGO Short-Efficiency q99 720
          -0.3247 0.2981 -1.0894 -0.6435323 NVDA Short-Efficiency q99 720
          -0.3688 0.2634 -1.4000 -0.7014293 XOM Short-Efficiency q99 720
          [1] “”

1080 Window

Significance q70

  • q70 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q70 1080
    0.0509 0.4594 0.1107 0.0612655 AMZN Short-Inefficiency-Long-Efficiency q70 1080
    0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q70 1080
    0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q70 1080
    0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q70 1080
    -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q70 1080
    -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q70 1080
    -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q70 1080
    -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q70 1080
    -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q70 1080
    -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q70 1080
    -0.1544 0.2751 -0.5610 -0.1820205 JPM Short-Inefficiency-Long-Efficiency q70 1080
    -0.1603 0.3220 -0.4977 -0.1888843 AAPL Short-Inefficiency-Long-Efficiency q70 1080
    -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q70 1080
    -0.2130 0.3235 -0.6586 -0.2495563 XOM Short-Inefficiency-Long-Efficiency q70 1080
    -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q70 1080
    -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q70 1080
    -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q70 1080
    -0.4987 0.6025 -0.8277 -0.5628514 NVDA Short-Inefficiency-Long-Efficiency q70 1080
    • q70 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q70 1080
      0.0447 0.4594 0.0973 0.0538004 AMZN Short-Inefficiency q70 1080
      0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q70 1080
      0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q70 1080
      0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q70 1080
      -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q70 1080
      -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q70 1080
      -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q70 1080
      -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q70 1080
      -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q70 1080
      -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q70 1080
      -0.1563 0.2743 -0.5699 -0.1842792 JPM Short-Inefficiency q70 1080
      -0.1593 0.3220 -0.4948 -0.1878027 AAPL Short-Inefficiency q70 1080
      -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q70 1080
      -0.2158 0.3159 -0.6831 -0.2527086 XOM Short-Inefficiency q70 1080
      -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q70 1080
      -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q70 1080
      -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q70 1080
      -0.5086 0.6020 -0.8449 -0.5732624 NVDA Short-Inefficiency q70 1080
      • q70 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q70 1080
        0.3853 0.6025 0.6395 0.4778267 NVDA Short-Efficiency-Long-Inefficiency q70 1080
        0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q70 1080
        0.1446 0.3235 0.4470 0.1756857 XOM Short-Efficiency-Long-Inefficiency q70 1080
        0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q70 1080
        0.0965 0.2751 0.3505 0.1166670 JPM Short-Efficiency-Long-Inefficiency q70 1080
        0.0738 0.3220 0.2290 0.0890193 AAPL Short-Efficiency-Long-Inefficiency q70 1080
        0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q70 1080
        0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q70 1080
        0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q70 1080
        0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q70 1080
        -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q70 1080
        -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q70 1080
        -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q70 1080
        -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q70 1080
        -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q70 1080
        -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q70 1080
        -0.2294 0.4594 -0.4994 -0.2682293 AMZN Short-Efficiency-Long-Inefficiency q70 1080
        -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q70 1080
        • q70 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q70 1080
          0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q70 1080
          0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q70 1080
          0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q70 1080
          0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q70 1080
          0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q70 1080
          0.0011 0.0012 0.9134 0.0013318 AAPL Short-Efficiency q70 1080
          -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q70 1080
          -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q70 1080
          -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q70 1080
          -0.0028 0.0219 -0.1270 -0.0033327 JPM Short-Efficiency q70 1080
          -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q70 1080
          -0.0059 0.0065 -0.9140 -0.0070840 AMZN Short-Efficiency q70 1080
          -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q70 1080
          -0.0083 0.0696 -0.1194 -0.0099493 XOM Short-Efficiency q70 1080
          -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q70 1080
          -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q70 1080
          -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q70 1080
          -0.0204 0.0223 -0.9153 -0.0243966 NVDA Short-Efficiency q70 1080

          Significance q90

  • q90 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q90 1080
    0.0509 0.4594 0.1107 0.0612655 AMZN Short-Inefficiency-Long-Efficiency q90 1080
    0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q90 1080
    0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q90 1080
    0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q90 1080
    -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q90 1080
    -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q90 1080
    -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q90 1080
    -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q90 1080
    -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q90 1080
    -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q90 1080
    -0.1295 0.3236 -0.4003 -0.1531730 XOM Short-Inefficiency-Long-Efficiency q90 1080
    -0.1510 0.2752 -0.5488 -0.1781400 JPM Short-Inefficiency-Long-Efficiency q90 1080
    -0.1603 0.3220 -0.4977 -0.1888843 AAPL Short-Inefficiency-Long-Efficiency q90 1080
    -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q90 1080
    -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q90 1080
    -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q90 1080
    -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q90 1080
    -0.5704 0.6019 -0.9477 -0.6367299 NVDA Short-Inefficiency-Long-Efficiency q90 1080
    • q90 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q90 1080
      0.0447 0.4594 0.0973 0.0538004 AMZN Short-Inefficiency q90 1080
      0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q90 1080
      0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q90 1080
      0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q90 1080
      -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q90 1080
      -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q90 1080
      -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q90 1080
      -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q90 1080
      -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q90 1080
      -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q90 1080
      -0.1487 0.2474 -0.6011 -0.1754633 JPM Short-Inefficiency q90 1080
      -0.1593 0.3220 -0.4948 -0.1878027 AAPL Short-Inefficiency q90 1080
      -0.1744 0.3128 -0.5576 -0.2052284 XOM Short-Inefficiency q90 1080
      -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q90 1080
      -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q90 1080
      -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q90 1080
      -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q90 1080
      -0.5415 0.5884 -0.9204 -0.6072740 NVDA Short-Inefficiency q90 1080
      • q90 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.6167 0.6019 1.0246 0.7783733 NVDA Short-Efficiency-Long-Inefficiency q90 1080
        0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q90 1080
        0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q90 1080
        0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q90 1080
        0.0921 0.2752 0.3348 0.1113945 JPM Short-Efficiency-Long-Inefficiency q90 1080
        0.0738 0.3220 0.2290 0.0890193 AAPL Short-Efficiency-Long-Inefficiency q90 1080
        0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q90 1080
        0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q90 1080
        0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q90 1080
        0.0348 0.3236 0.1076 0.0418727 XOM Short-Efficiency-Long-Inefficiency q90 1080
        0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q90 1080
        -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q90 1080
        -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q90 1080
        -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q90 1080
        -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q90 1080
        -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q90 1080
        -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q90 1080
        -0.2294 0.4594 -0.4994 -0.2682293 AMZN Short-Efficiency-Long-Inefficiency q90 1080
        -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q90 1080
        • q90 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.0499 0.1279 0.3901 0.0600945 NVDA Short-Efficiency q90 1080
          0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q90 1080
          0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q90 1080
          0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q90 1080
          0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q90 1080
          0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q90 1080
          0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q90 1080
          0.0011 0.0012 0.9134 0.0013318 AAPL Short-Efficiency q90 1080
          -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q90 1080
          -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q90 1080
          -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q90 1080
          -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q90 1080
          -0.0059 0.0065 -0.9140 -0.0070840 AMZN Short-Efficiency q90 1080
          -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q90 1080
          -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q90 1080
          -0.0117 0.1204 -0.0970 -0.0139891 JPM Short-Efficiency q90 1080
          -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q90 1080
          -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q90 1080
          -0.0580 0.0826 -0.7025 -0.0690956 XOM Short-Efficiency q90 1080

          Significance q95

  • q95 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.0681 0.4594 0.1483 0.0821963 AMZN Short-Inefficiency-Long-Efficiency q95 1080
    0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q95 1080
    0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q95 1080
    0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q95 1080
    0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q95 1080
    -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q95 1080
    -0.0077 0.3237 -0.0237 -0.0091958 XOM Short-Inefficiency-Long-Efficiency q95 1080
    -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q95 1080
    -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q95 1080
    -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q95 1080
    -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q95 1080
    -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q95 1080
    -0.1649 0.2751 -0.5993 -0.1942054 JPM Short-Inefficiency-Long-Efficiency q95 1080
    -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q95 1080
    -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q95 1080
    -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q95 1080
    -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q95 1080
    -0.3599 0.3212 -1.1207 -0.4141658 AAPL Short-Inefficiency-Long-Efficiency q95 1080
    -0.5415 0.6022 -0.8992 -0.6071817 NVDA Short-Inefficiency-Long-Efficiency q95 1080
    • q95 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.0544 0.4570 0.1190 0.0655122 AMZN Short-Inefficiency q95 1080
      0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q95 1080
      0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q95 1080
      0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q95 1080
      0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q95 1080
      -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q95 1080
      -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q95 1080
      -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q95 1080
      -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q95 1080
      -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q95 1080
      -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q95 1080
      -0.1170 0.3073 -0.3807 -0.1385329 XOM Short-Inefficiency q95 1080
      -0.1529 0.2337 -0.6544 -0.1803367 JPM Short-Inefficiency q95 1080
      -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q95 1080
      -0.2641 0.3132 -0.8432 -0.3074980 AAPL Short-Inefficiency q95 1080
      -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q95 1080
      -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q95 1080
      -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q95 1080
      -0.5232 0.5771 -0.9066 -0.5883408 NVDA Short-Inefficiency q95 1080
      • q95 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.5146 0.6022 0.8545 0.6446021 NVDA Short-Efficiency-Long-Inefficiency q95 1080
        0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q95 1080
        0.4087 0.3212 1.2725 0.5077996 AAPL Short-Efficiency-Long-Inefficiency q95 1080
        0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q95 1080
        0.1103 0.2751 0.4008 0.1335528 JPM Short-Efficiency-Long-Inefficiency q95 1080
        0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q95 1080
        0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q95 1080
        0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q95 1080
        0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q95 1080
        0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q95 1080
        -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q95 1080
        -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q95 1080
        -0.0923 0.3237 -0.2850 -0.1095254 XOM Short-Efficiency-Long-Inefficiency q95 1080
        -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q95 1080
        -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q95 1080
        -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q95 1080
        -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q95 1080
        -0.2419 0.4594 -0.5265 -0.2823825 AMZN Short-Efficiency-Long-Inefficiency q95 1080
        -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q95 1080
        • q95 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1436 0.0733 1.9589 0.1744067 AAPL Short-Efficiency q95 1080
          0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q95 1080
          0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q95 1080
          0.0095 0.1724 0.0548 0.0113383 NVDA Short-Efficiency q95 1080
          0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q95 1080
          0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q95 1080
          0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q95 1080
          0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q95 1080
          -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q95 1080
          -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q95 1080
          -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q95 1080
          -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q95 1080
          -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q95 1080
          -0.0068 0.1453 -0.0467 -0.0081266 JPM Short-Efficiency q95 1080
          -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q95 1080
          -0.0150 0.0469 -0.3210 -0.0179979 AMZN Short-Efficiency q95 1080
          -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q95 1080
          -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q95 1080
          -0.1193 0.1012 -1.1787 -0.1411669 XOM Short-Efficiency q95 1080

          Significance q99

  • q99 : Short-Inefficiency-Long-Efficiency
    Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
    0.5058 0.4583 1.1035 0.6331692 AMZN Short-Inefficiency-Long-Efficiency q99 1080
    0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q99 1080
    0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q99 1080
    0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q99 1080
    0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q99 1080
    -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q99 1080
    -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q99 1080
    -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q99 1080
    -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q99 1080
    -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q99 1080
    -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q99 1080
    -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q99 1080
    -0.2323 0.3234 -0.7183 -0.2715176 XOM Short-Inefficiency-Long-Efficiency q99 1080
    -0.2472 0.6033 -0.4098 -0.2884721 NVDA Short-Inefficiency-Long-Efficiency q99 1080
    -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q99 1080
    -0.3371 0.5903 -0.5710 -0.3889750 META Short-Inefficiency-Long-Efficiency q99 1080
    -0.3413 0.2742 -1.2445 -0.3936281 JPM Short-Inefficiency-Long-Efficiency q99 1080
    -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q99 1080
    -0.4046 0.3208 -1.2612 -0.4627832 AAPL Short-Inefficiency-Long-Efficiency q99 1080
    • q99 : Short-Inefficiency
      Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
      0.2581 0.4456 0.5792 0.3167495 AMZN Short-Inefficiency q99 1080
      0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q99 1080
      0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q99 1080
      0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q99 1080
      0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q99 1080
      -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q99 1080
      -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q99 1080
      -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q99 1080
      -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q99 1080
      -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q99 1080
      -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q99 1080
      -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q99 1080
      -0.2082 0.2358 -0.8828 -0.2440361 XOM Short-Inefficiency q99 1080
      -0.2419 0.1980 -1.2218 -0.2824715 JPM Short-Inefficiency q99 1080
      -0.2762 0.2425 -1.1388 -0.3211491 AAPL Short-Inefficiency q99 1080
      -0.3391 0.5903 -0.5746 -0.3912891 META Short-Inefficiency q99 1080
      -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q99 1080
      -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q99 1080
      -0.3780 0.5460 -0.6924 -0.4339417 NVDA Short-Inefficiency q99 1080
      • q99 : Short-Efficiency-Long-Inefficiency
        Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
        0.5143 0.3208 1.6032 0.6442534 AAPL Short-Efficiency-Long-Inefficiency q99 1080
        0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q99 1080
        0.4076 0.2742 1.4862 0.5063539 JPM Short-Efficiency-Long-Inefficiency q99 1080
        0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q99 1080
        0.1733 0.3234 0.5359 0.2111287 XOM Short-Efficiency-Long-Inefficiency q99 1080
        0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q99 1080
        0.0610 0.5903 0.1033 0.0735041 META Short-Efficiency-Long-Inefficiency q99 1080
        0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q99 1080
        0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q99 1080
        0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q99 1080
        -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q99 1080
        -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q99 1080
        -0.0774 0.6033 -0.1283 -0.0920528 NVDA Short-Efficiency-Long-Inefficiency q99 1080
        -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q99 1080
        -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q99 1080
        -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q99 1080
        -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q99 1080
        -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q99 1080
        -0.4622 0.4583 -1.0084 -0.5244810 AMZN Short-Efficiency-Long-Inefficiency q99 1080
        • q99 : Short-Efficiency
          Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window
          0.1627 0.2109 0.7714 0.1980230 AAPL Short-Efficiency q99 1080
          0.1099 0.1904 0.5771 0.1330591 JPM Short-Efficiency q99 1080
          0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q99 1080
          0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q99 1080
          0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q99 1080
          0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q99 1080
          0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q99 1080
          0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q99 1080
          -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q99 1080
          -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q99 1080
          -0.0032 0.0027 -1.1673 -0.0037962 META Short-Efficiency q99 1080
          -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q99 1080
          -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q99 1080
          -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q99 1080
          -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q99 1080
          -0.0178 0.2213 -0.0805 -0.0213072 XOM Short-Efficiency q99 1080
          -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q99 1080
          -0.1745 0.1096 -1.5928 -0.2053650 AMZN Short-Efficiency q99 1080
          -0.2261 0.2556 -0.8848 -0.2645162 NVDA Short-Efficiency q99 1080
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